Optimal investment,consumption and timing of annuity purchase under a preference change

In this paper, we study the optimal investment and consumption strategies for a retired individual who has the opportunity of choosing a discretionary stopping time to purchase an annuity. We assume that the individual receives a fixed annuity income and changes his/her preference after paying a fixed cost for annuitization. By using the martingale method and the variational inequality method, we tackle this problem and obtain the optimal strategies and the value function explicitly for the case of constant force of mortality and constant relative risk aversion (CRRA) utility function.     

The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options

In this paper we investigate the consequences on the pricing of insurance contingent claims when we relax the typical independence assumption made in the actuarial literature between mortality risk and interest rate risk. Starting from the Gaussian approach of Liu et al. (2014), we consider some multifactor models for the mortality and interest rates based on more general affine models which remain positive and we derive pricing formulas for insurance contracts like Guaranteed Annuity Options (GAOs). In a Wishart affine model, which allows for a non-trivial dependence between the mortality and the interest rates, we go far beyond the results found in the Gaussian case by Liu et al. (2014), where the value of these insurance contracts can be explained only in terms of the initial pairwise linear correlation.     

随机利息力下的期末付倒平顶虹式年金

对于年金的定价问题的研究,传统精算理论假定利率是恒定不变的．但事实上,由于受到多种因素的影响,利率往往具有不确定性．因此,本文采用可逆MA（1）模型来刻画利率期限机构,在此基础上,研究了期末付倒平顶虹式年金的各阶矩问题,推导出了其年金现值的期望和方差的简洁公式．通过数值模拟分析了此年金面临的利率风险,其结论对年金定价有一定的参考价值．